| Budget Amount *help |
¥2,750,000 (Direct Cost: ¥2,300,000、Indirect Cost: ¥450,000)
Fiscal Year 2009: ¥780,000 (Direct Cost: ¥600,000、Indirect Cost: ¥180,000)
Fiscal Year 2008: ¥1,170,000 (Direct Cost: ¥900,000、Indirect Cost: ¥270,000)
Fiscal Year 2007: ¥800,000 (Direct Cost: ¥800,000)
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| Research Abstract |
First, we considered the second order power properties of empirical likelihood for stationary processes. Next, we investigated an optimal property of the maximum likelihood estimator of Gaussian locally stationary processes by the second order approximation. To elucidate the effect on zero-coupon bond price valuation when short rate model has non-Gaussian dependent innovations, we derived the approximate bond price formula using higher order asymptotic theory. Moreover we investigated asymptotic distribution of the change point test statistic based on the frequency domain empirical likelihood.
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